| 成数超额混合再保险中最优自留额的确定 |
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| 引用本文： | 尹青松,张峰.成数超额混合再保险中最优自留额的确定[J].兵团教育学院学报,2010,20(2):39-41. |
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| 作者姓名： | 尹青松 张峰 |
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| 作者单位： | 石河子大学,师范学院/兵团教育学院,新疆,石河子,832003 |
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| 摘 要： | Centeno在Sparre Anderson模型中研究了调节系数关于再保险自留额的函数的性质，得到了保险人的调节系数是关于其自留额的单峰函数的结论。本文给出带扩散扰动项的复合Poisson过程的索赔时调节系数与再保险自留额的函数，得出保险公司的最优再保险自留额。
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| 关 键 词： | 复合Poisson过程 调节系数 成数与超额混合再保险 Esscher保费原则 |
Optimal Retention in the Mixture of Quota-share and Excess of Loss Treaties Reinsurance |
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| YIN Qing-song,ZHANG Feng.Optimal Retention in the Mixture of Quota-share and Excess of Loss Treaties Reinsurance[J].Journal of Bingtuan Education Institute,2010,20(2):39-41. |
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| Authors: | YIN Qing-song ZHANG Feng |
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| Institution: | YIN Qing-song,ZHANG Feng(Teachers College,Shihezi University/Bingtuan Education Institute,Shihezi,Xinjiang 832003,China) |
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| Abstract: | Centeno studies the insurer's adjustment coefficient as a function of retention levels in the Sparre Anderson model.Centeno shows that the insurer's adjustment coefficient is a unimodal function of the retention levels.This paper offers functions about the adjustment coefficient and the retention of insurer with the compound Poisson model with diffuse disturbance term.The optimal retention of the reinsurance is the result. |
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| Keywords: | compound Poisson adjustment quota-share and excess of loss treaties reinsurance Esscher premium principle |
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